Market Impact: A Systematic Study of Limit Orders
| Autor: | Frédéric Abergel, Alexandre Husson, Emilio Said, Ahmed Bel Hadj Ayed |
|---|---|
| Přispěvatelé: | Mathématiques et Informatique pour la Complexité et les Systèmes (MICS), CentraleSupélec, Global Markets, BNP Paribas, Paris, Chaire de finance quantitative (FiQuant), CentraleSupélec-CentraleSupélec |
| Jazyk: | angličtina |
| Rok vydání: | 2018 |
| Předmět: |
Automated Trading
Statistical finance computer.software_genre Power law FOS: Economics and business 0502 economics and business Market Impact Economics Econometrics Limit (mathematics) 050207 economics Algorithmic trading [QFIN.TR]Quantitative Finance [q-fin]/Trading and Market Microstructure [q-fin.TR] Empirical evidence Statistical Finance (q-fin.ST) 050208 finance Actuarial science Quantitative Finance - Trading and Market Microstructure Statistical Finance 05 social sciences Quantitative Finance - Statistical Finance Market microstructure [QFIN.ST]Quantitative Finance [q-fin]/Statistical Finance [q-fin.ST] Fair Pricing Trading and Market Microstructure (q-fin.TR) Limit Orders Market Microstructure Relaxation (approximation) Market impact computer |
| Popis: | This paper is devoted to the important yet little explored subject of the market impact of limit orders. Our analysis is based on a proprietary database of metaorders — large orders that are split into smaller pieces before being sent to the market. We first address the case of aggressive limit orders and then that of passive limit orders. In both cases, we provide empirical evidence of a power law behavior for the temporary market impact. The relaxation of the price following the end of the metaorder is also studied, and the long-term impact is shown to stabilize at a level of approximately two-thirds of the maximum impact. Finally, a fair pricing condition during the life cycle of the metaorders is empirically validated. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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